A probabilistic look at the Wiener-Hopf equation

SIAM Review

Volumn 40, Issue 2, 1998, Pages 189-201

  Asmussen, Søren ^a  

^a LUND UNIVERSITY   (Sweden)

Author keywords

Coupling; Exponential change of measure; First passage time; Integral equation; Ladder heights; Lindley equation; Random walk; Renewal equation; Spread out distribution; Subexponential distribution; Supermartingale

Indexed keywords

PROBABILITY;

EXPONENTIAL CHANGE OF MEASURE; HEWITT-SAVAGE LAW; LADDER HEIGHTS; RANDOM WALK; SUPERMARTINGALES; WIENER-HOPF EQUATION;

INTEGRAL EQUATIONS;

EID: 0032097143     PISSN: 00361445     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0036144596303534     Document Type: Article

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